论文标题
傅立叶瞬时估计器和EPP效应
Fourier instantaneous estimators and the Epps effect
论文作者
论文摘要
我们比较了Malliavin-Mancino和Cuchiero-Teichmann傅立叶瞬时估计器，以研究瞬时估计中异步产生的EPP效应的影响。我们在模拟设置下证明了瞬时EPP效应，并提供了一种简单的方法来改善效果。我们发现，使用先前的cuchiero-teichmann估计值中的tick插值会在处理异步时会产生不稳定的估计，而绕开Malliavin-Mancino估计器绕过时域的能力使其可以产生稳定的估计值，因此非常适合超高的频率融资。使用贸易和报价数据的经验分析，来自约翰内斯堡证券交易所说明了瞬时epps效应，以及在同一权益对的天数之间如何在天内相关性动态变化。
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous estimates. We demonstrate the instantaneous Epps effect under a simulation setting and provide a simple method to ameliorate the effect. We find that using the previous tick interpolation in the Cuchiero-Teichmann estimator results in unstable estimates when dealing with asynchrony, while the ability to bypass the time domain with the Malliavin-Mancino estimator allows it to produce stable estimates and is therefore better suited for ultra-high frequency finance. An empirical analysis using Trade and Quote data from the Johannesburg Stock Exchange illustrates the instantaneous Epps effect and how the intraday correlation dynamics can vary between days for the same equity pair.
